Anticipative backward stochastic differential equations driven by fractional Brownian motion

DOI10.1016/j.spl.2016.11.011zbMath1356.60092arXiv1604.01847OpenAlexW2340765683MaRDI QIDQ504474

Jiaqiang Wen, Yu-feng Shi

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01847

zbMATH Keywords

fractional Brownian motioncomparison theoremanticipative backward stochastic differential equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (11)

A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ Linear backward stochastic differential equations with Gaussian Volterra processes ⋮ Maximum principle for a stochastic delayed system involving terminal state constraints ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem ⋮ Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion ⋮ Solvability of anticipated backward stochastic Volterra integral equations ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations

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